Cashflow Modeling Associate - Investment Management

Thriving global Investment Management firm is seeking a full-time Cashflow Modeling Associate at their Los Angeles based headquarters. This role would be on the Cashflow Modeling team, which is responsible for managing various modeling functions including, reporting analytics and risk metrics, maintenance and enhancements of models and associated workflows, as well as running various scenarios on the portfolio using both internally developed models, as well a vendor-based models, and presenting them to portfolio managers and other stakeholders on a periodic basis.

The role will also work on the generating of cashflows and forecasting of asset portfolio earnings under various scenarios for insurance clients whose portfolios we manage. The candidate will work closely with Quantitative Developers to continually look for ways to enhance models and workflows, and will liaise with Portfolio Managers, Risk/ALM Management, Investment Accounting, Financial Planning, and Actuaries. In addition, the candidate will need to be comfortable with operating in a SOX/SOC-1 controlled environment.

Accountabilities:

• Work closely with the team to create weekly and month-end Risk runs on the asset portfolio, which includes calculations of various analytics, as well as running of interest rate and credit stress scenarios and analyzing impact to various asset types as well as the overall portfolio, and drafting of weekly commentary to portfolio managers summarizing the results of how weekly changes in rates and other market conditions are impacting the portfolio.
• On a quarterly basis, work with the team to re-project cashflows on the structured credit portfolio to capture the effect of changes in the rate environment on accounting treatment of the portfolio.
• Work on calculating allowance amounts for the portfolio under the new CECL Accounting framework.
• On a quarterly basis, work with the team to use an internally developed portfolio rollover model under various interest rate scenarios to forecast investment earned rates over a five year horizon, and prepare presentations and analysis for senior management that provides commentary on market and portfolio changes to accompany portfolio rollover model results.
• Troubleshoot and debug issues that may arise out of models to trace back sources of errors, using various data science techniques.
• Work with Quantitative Developers to validate, debug, and enhance proprietary asset models.
• Maintain documentation of models and model-related processes

Qualifications and Experience:

The ideal candidate is detail and process oriented, and able to work in a fast-paced environment while meeting strict deadlines. In addition, the following skills are necessary:

• Bachelor's or Graduate degree in Business or Math/Sciences
• Solid background in fixed income assets, especially structured securities and experience modeling securities using Intex
• Solid data science, Excel and SQL skills is a must
• 2-4 years of relevant work experience
• Experience with modeling portfolios in Aladdin Explore/Answer, or other vendor based modeling platforms that focus on modeling fixed income and structured security portfolios
• Ability to understand dataflows between various systems that house data.
• Experience in delivering information under a SOX/SOC-1 controlled environment is a plus
• General understanding of accounting principles is a plus
• Attention to detail, strong work ethic, a team player and ability to think outside of the box with creative solutions
• CFA Charter holder, or progress towards, a plus